本篇論文提出一個新的求算隱含相關性指數的方法，利用台灣五十ETF和其成分股的變異數來求算。變異數的估計值是利用歷史開盤、收盤、最高和最低價格。
因為是採用市場交易的價格來計算，此隱含相關性指數反應市場對於未來的看法，接著我們對台灣五十隱含相關性指數進行統計上的探討，實證顯示隱含相關性指數有顯著的自我相關，並且當市場下跌實隱含相關性指數會大幅上升。最後進行Granger causality檢定，結果顯示台灣五十指數報酬率會導致每周的台灣五十隱含相關性指數產生顯著的變動，每周的台灣五十隱含相關性指數也會導致台灣五十指數報酬產生顯著的變動。 / This study proposes an innovative methodology for backing-out implied correlation measures from the variance of Taiwan 50 ETF and its constituent stocks. The volatility estimators are based upon the historical opening, closing, high, low prices.
This implied correlation index reflects the market view of the future level of the diversification in the market portfolio represented by the index. The methodology is applied to Taiwan 50 ETF. The statistical properties and the dynamics of the proposed implied correlation measure are examined. The evidence of this study indicates that the implied correlation index fluctuates substantially over time and displays strong dynamic dependence. Moreover, there is a systematic tendency for the implied correlation index to increase when the market index returns decrease, indicating limited diversification when it is needed most. Finally, the Granger causality tests is assessed and we find that the Taiwan 50 index returns Granger causes the weekly TWCIX changes and the weekly TWCIX changes Granger causes the Taiwan 50 index returns.
| Identifer | oai:union.ndltd.org:CHENGCHI/G0096351004 |
| Creators | 張仲維 |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 英文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
Page generated in 0.0019 seconds